Tail dependence with copulas between stock return and volume: Evidence from china and Hong Kong

摘要

Three stationary Copula and time - varying SJC Copula functions and MLE based on ranks are used in tail dependence between stock return and volume in China and Hong Kong. We find evidence that the tail dependence between return and volume is asymmetry, the upper tail dependence is stronger and the lower tail is close to zero. The upper tail dependence is stronger in China than Hong Kong.